Late SOFR/Treasury Option Roundup

With a few exceptions, SOFR options saw better upside call structure buying Wednesday with underlying futures bouncing off Tuesday's cycle lows (TYU3 108-28) after lower than expected European service PMIs. Treasury options saw more consistent put trade across the curve in anticipation of hawkish tones from Chairman Powell Friday morning. Intermediate to long end rate led curve flattening (2Y10Y -2.660 to -75.985). Rate hike projections through year end have receded from Tuesday's highs: Sep 20 FOMC is 11% w/ implied rate change of +2.7bp to 5.356%. November cumulative of +10.1bp at 5.43, December cumulative of 7.9bp at 5.408%. Fed terminal holding has climbed to 5.42% in Nov'23.

• SOFR Options:
  • +14,000 0QZ3 96.12/96.62 call spds 10.5 vs. 95.76/0.15%
  • Block, +20,000 SFRH4 94.50/94.75/95.00 call flys, 7.5 ref 94.60
  • Block, 5,000 SFRZ3 94.75/95.75 call spds 2.75 over SFRZ3 94.43/94.50 put spds
  • +2,500 SFRH4 94.75/95.00/95.25 call flys, 2.5
  • Block, 20,000 0QZ3 97.06/97.31 call spds, 1.5-2.0 ref 95.73
  • -5,000 0QH4 97.00/97.50/98.00 call flys, 2.5 vs. 95.85/0.05%
  • Block, total 10,000 SFRU4 94.50/94.75/95.00/95.50 put condors, 18.0 vs. 95.395/0.10%
  • 2,450 SFRX3 94.25/94.37/94.50 put flys, ref 94.585
  • over 5,000 SFRV3 94.56/94.75 put spds ref 94.58
  • 4,000 SFRZ3 94.37 puts, total volume over 10k
  • Block/screen, 6,000 SFRV3 94.50/94.62/94.75 call flys, 3.75 ref 94.58
  • 8,000 SFRV3 94.62/94.87/95.12 call trees ref 94.58
  • Block call condor calendar spread repeated 2k on screen
  • Block, 3,750 SFRZ3 94.56/94.62/94.68/94.75 call condors, 2.0 vs.
  • Block, 3,750 SFRH4 94.56/94.68/94.75/94.87 call condors, 2.5
  • 2,000 2QU3 95.87 puts, 9.0 ref 96.05
• Treasury Options:
  • 1,500 TYU3 110.5/111 1x2 call spds, 2 net ref 109-29
  • 1,500 USU3 120/122 put spds, 140 ref 120-05
  • over 18,300 TYU3 111 puts, 116 ref 109-25.5
  • 8,000 TUU3 101.75 puts, 24-24.5 ref 101-12.38
  • 2,000 FVZ3 104.25/105.5 put spds ref 106-14.5 to -14.75
  • 4,800 USV3 110/112/114/116 put condors, 14 net ref 119-26
  • 5,100 TYU3 107 puts ref 109-20.5
  • 3,400 TYU3 108.5 puts, 3 ref 109-14
  • 7,500 TYV3 110.5 calls 3 over TYV3 108/109.5 put spds ref 109-17.5